Non-Linear Filtering With State Dependant Transition Probabilities: A Threshold (Size Effect) SV Model
| Contribuinte(s) |
Zerger, A Argent, R |
|---|---|
| Data(s) |
2005
|
| Identificador | |
| Publicador |
MODSIM (Modelling and Simulation Society of Australia and New Zealand Inc.) |
| Relação |
Clements, Adam & White, Scott (2005) Non-Linear Filtering With State Dependant Transition Probabilities: A Threshold (Size Effect) SV Model. In Zerger, A & Argent, R (Eds.) MODSIM 2005 International Congress on Modelling and Simulation, 12 December - 15 December 2005, Australia, Victoria, Melbourne. |
| Fonte |
QUT Business School; School of Economics & Finance |
| Palavras-Chave | #140305 Time-Series Analysis #Non-Linear Filtering, Stochastic Volatility, Size Effect, Threshold |
| Tipo |
Conference Paper |
